Correlation Between Overlay Shares and AltShares Event
Can any of the company-specific risk be diversified away by investing in both Overlay Shares and AltShares Event at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Overlay Shares and AltShares Event into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Overlay Shares Foreign and AltShares Event Driven ETF, you can compare the effects of market volatilities on Overlay Shares and AltShares Event and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Overlay Shares with a short position of AltShares Event. Check out your portfolio center. Please also check ongoing floating volatility patterns of Overlay Shares and AltShares Event.
Diversification Opportunities for Overlay Shares and AltShares Event
-0.15 | Correlation Coefficient |
Good diversification
The 3 months correlation between Overlay and AltShares is -0.15. Overlapping area represents the amount of risk that can be diversified away by holding Overlay Shares Foreign and AltShares Event Driven ETF in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AltShares Event Driven and Overlay Shares is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Overlay Shares Foreign are associated (or correlated) with AltShares Event. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AltShares Event Driven has no effect on the direction of Overlay Shares i.e., Overlay Shares and AltShares Event go up and down completely randomly.
Pair Corralation between Overlay Shares and AltShares Event
Considering the 90-day investment horizon Overlay Shares is expected to generate 7.35 times less return on investment than AltShares Event. In addition to that, Overlay Shares is 3.1 times more volatile than AltShares Event Driven ETF. It trades about 0.01 of its total potential returns per unit of risk. AltShares Event Driven ETF is currently generating about 0.25 per unit of volatility. If you would invest 1,061 in AltShares Event Driven ETF on September 1, 2024 and sell it today you would earn a total of 16.00 from holding AltShares Event Driven ETF or generate 1.51% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Overlay Shares Foreign vs. AltShares Event Driven ETF
Performance |
| Timeline |
| Overlay Shares Foreign |
| AltShares Event Driven |
Overlay Shares and AltShares Event Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Overlay Shares and AltShares Event
The main advantage of trading using opposite Overlay Shares and AltShares Event positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Overlay Shares position performs unexpectedly, AltShares Event can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in AltShares Event will offset losses from the drop in AltShares Event's long position.| Overlay Shares vs. Overlay Shares Core | Overlay Shares vs. Overlay Shares Large | Overlay Shares vs. OVS SpA | Overlay Shares vs. Overlay Shares Municipal |
| AltShares Event vs. First Trust Managed | AltShares Event vs. Franklin Liberty Systematic | AltShares Event vs. Overlay Shares Foreign | AltShares Event vs. First Trust LongShort |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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